Trend-Following Backtester · Guide · backtest 한국어
equity · AT
EVN AG backtest
10 trend-following strategies were compared on the full daily history of EVN AG. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.6%, MDD -31.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -62.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.3%, MDD -54.8%, Sharpe 0.40, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.9%, MDD -56.6%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 7.9%p (CAGR 3.6%, MDD -31.6%, exposure 20%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=18, mult=3.8 |
4.3% | -54.8% | 0.40 | 0.08 | 3.0x | 46 | 31% |
| 볼린저 밴드 돌파 n=67, k=3.1 |
3.6% | -31.6% | 0.38 | 0.11 | 2.6x | 36 | 20% |
| SMA 크로스오버 fast=47, slow=202 |
4.9% | -56.6% | 0.36 | 0.09 | 3.6x | 43 | 57% |
| Donchian 채널 돌파 entryN=80, exitN=66 |
3.8% | -59.5% | 0.32 | 0.06 | 2.7x | 41 | 51% |
| Supertrend period=12, mult=2.8 |
2.9% | -51.6% | 0.25 | 0.06 | 2.1x | 159 | 57% |
| EMA 크로스오버 fast=59, slow=211 |
2.3% | -67.9% | 0.22 | 0.03 | 1.8x | 33 | 53% |
| ROC 모멘텀 n=135, threshold=-0.03 |
1.4% | -75.5% | 0.16 | 0.02 | 1.4x | 199 | 63% |
| ADX / DI 방향성 period=32, threshold=29 |
0.5% | -19.6% | 0.14 | 0.03 | 1.2x | 18 | 5% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.3% | -77.5% | 0.06 | -0.00 | 0.9x | 201 | 56% |
| MACD fast=24, slow=35, signal=21 |
-3.2% | -74.6% | -0.11 | -0.04 | 0.4x | 293 | 51% |
| Buy and hold | 3.4% | -62.7% | 0.26 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 91-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 91-day average